Feature Images not working on Twenty Eleven theme

I’ve just discovered this potentially cool new thing in WordPress called featured images, which allows you to set a custom header image for specific pages or posts, but it doesn’t actually seem to work. I am using the official WordPress Twenty Eleven theme which supposedly supports featured images, but I’ve now added images to two of my pages and both of them still show the default header image from the theme options rather than their featured images. Anyone else tried using this functionality yet?